Merge pull request #3647 from vegaprotocol/feature/lp-pegged-orders-f…

…ix-entering-auction

ensure lp order are not submitted if entering auction

execution/liquidity_provision.go

@@ -256,6 +256,7 @@ func (m *Market) updateAndCreateLPOrders(
 
 	mktID := m.GetID()
 	asset, _ := m.mkt.GetAsset()
+	var enteredAuction bool
 	for _, order := range newOrders {
 		// before we submit orders, we check if the party was pending
 		// and save the amount of the margin balance.
@@ -291,6 +292,12 @@ func (m *Market) updateAndCreateLPOrders(
 				logging.Order(*order))
 		}
 
+		// did we enter auction
+		if m.as.InAuction() {
+			enteredAuction = true
+			break
+		}
+
 		orderUpdates = append(orderUpdates, orderUpdts...)
 		faultyLPs[order.PartyId] = false
 	}
@@ -351,6 +358,12 @@ func (m *Market) updateAndCreateLPOrders(
 		_ = m.equityShares.Shares(m.liquidity.GetInactiveParties())
 	}
 
+	// if we are in an option, there's nothing to be done with these
+	// updates specifically, let's just return
+	if enteredAuction {
+		orderUpdates = nil
+	}
+
 	return orderUpdates, nil
 }
 

execution/market.go

@@ -796,6 +796,8 @@ func (m *Market) LeaveAuction(ctx context.Context, now time.Time) {
 	m.broker.Send(endEvt)
 
 	m.checkForReferenceMoves(ctx, updatedOrders, true)
+	m.checkLiquidity(ctx, nil)
+	m.commandLiquidityAuction(ctx)
 
 	m.updateLiquidityFee(ctx)
 }

execution/reference_price_moves.go

@@ -34,10 +34,10 @@ func (o OrderReferenceCheck) HasMoved(changes uint8) bool {
 func (m *Market) checkForReferenceMoves(
 	ctx context.Context, orderUpdates []*types.Order, forceUpdate bool,
 ) {
-
 	if m.as.InAuction() {
 		return
 	}
+
 	newBestBid, _ := m.getBestStaticBidPrice()
 	newBestAsk, _ := m.getBestStaticAskPrice()
 	newMidBuy, _ := m.getStaticMidPrice(types.Side_SIDE_BUY)

execution/special_orders.go

@@ -64,7 +64,7 @@ func (m *Market) repricePeggedOrders(
 func (m *Market) reSubmitPeggedOrders(
 	ctx context.Context,
 	toSubmitOrders []*types.Order,
-) []*types.Order {
+) (_ []*types.Order, enteredAuction bool) {
 	updatedOrders := []*types.Order{}
 
 	// Reinsert all the orders
@@ -83,13 +83,19 @@ func (m *Market) reSubmitPeggedOrders(
 			m.log.Panic("submitting pegged orders after a reprice should never trade",
 				logging.Order(*order))
 		}
+
+		if m.as.InAuction() {
+			enteredAuction = true
+			return
+		}
+
 		if err == nil {
 			updatedOrders = append(updatedOrders, conf.Order)
 		}
 		updatedOrders = append(updatedOrders, updts...)
 	}
 
-	return updatedOrders
+	return updatedOrders, false
 }
 
 func (m *Market) repriceAllSpecialOrders(
@@ -121,15 +127,12 @@ func (m *Market) repriceAllSpecialOrders(
 	for _, order := range lpOrders {
 		// Remove order if any volume remains,
 		// otherwise it's already been popped by the matching engine.
-		cancellation, err := m.matching.CancelOrder(order)
+		cancellation, err := m.cancelOrder(ctx, order.PartyId, order.Id)
 		if cancellation == nil || err != nil {
 			m.log.Panic("could not remove liquidity order from the book",
 				logging.Order(*order),
 				logging.Error(err))
 		}
-
-		// Remove it from the trader position
-		_ = m.position.UnregisterOrder(order)
 	}
 
 	// now no lp orders are in the book anymore,
@@ -138,7 +141,12 @@ func (m *Market) repriceAllSpecialOrders(
 	// let's do it now
 	var updatedPegged []*types.Order
 	if needsPeggedUpdates {
-		updatedPegged = m.reSubmitPeggedOrders(ctx, toSubmit)
+		var enteredAuction bool
+		updatedPegged, enteredAuction = m.reSubmitPeggedOrders(ctx, toSubmit)
+		if enteredAuction {
+			// returning nil will stop reference price moves updates
+			return nil
+		}
 	}
 
 	orderUpdates = append(orderUpdates, parked...)
@@ -244,7 +252,7 @@ func (m *Market) updateLPOrders(
 
 		// these order were actually cancelled, just send the event
 		if _, ok := cancelIDs[order.Id]; ok {
-			cancelEvts = append(cancelEvts, events.NewOrderEvent(ctx, order))
+			// cancelEvts = append(cancelEvts, events.NewOrderEvent(ctx, order))
 			// these orders were submitted exactly the same before,
 			// so there's no reason we would not be able to submit
 			// let's panic if an issue happen
@@ -260,6 +268,14 @@ func (m *Market) updateLPOrders(
 					logging.Order(*order))
 			}
 		}
+
+		// if an auction has been started, we just break now
+		if m.as.InAuction() {
+			// enteredAuction = true
+			// auctionFrom = i
+			// break
+			return nil
+		}
 	}
 
 	// send cancel events

integration/features/3528-indefinite-auction-extension.feature

@@ -131,7 +131,7 @@ Feature: Replicate issue 3528, where price monitoring continuously extended liqu
     When the network moves ahead "290" blocks
     Then the market data for the market "ETH/DEC21" should be:
       | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest | auction end |
-      | 1020       | TRADING_MODE_CONTINUOUS | 1       | 1010      | 1030      | 3162         | 10000          | 31            | 0           |
+      | 1030       | TRADING_MODE_CONTINUOUS | 1       | 1020      | 1040      | 3090         | 10000          | 30            | 0           |
 
   Scenario: Enter liquidity auction, extended by trades at liq. auction end, multiple trades -> still a single extension
 
@@ -235,7 +235,7 @@ Feature: Replicate issue 3528, where price monitoring continuously extended liqu
     When the network moves ahead "290" blocks
     Then the market data for the market "ETH/DEC21" should be:
       | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest | auction end |
-      | 1020       | TRADING_MODE_CONTINUOUS | 1       | 1010      | 1030      | 3162         | 10000          | 31            | 0           |
+      | 1030       | TRADING_MODE_CONTINUOUS | 1       | 1020      | 1040      | 3090         | 10000          | 30            | 0           |
 
   Scenario: When in liquidity auction, we should only trigger price extension once